Option Pricing with a General Market Point Process
This paper examines the impact of a random number of stock prices changes on the valuation formula for options. The model introduces the structure of the general marked point process (MPP). The kind of models allows to take in account more general distributions of time interarrival: they need no longer to be deterministic or exponential with a constant parameter like in usual jump-diffusions models.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1997|
|Date of revision:|
|Contact details of provider:|| Postal: THEMA, Universite de Paris X-Nanterre, U.F.R. de science economiques, gestion, mathematiques et informatique, 200, avenue de la Republique 92001 Nanterre CEDEX.|
When requesting a correction, please mention this item's handle: RePEc:fth:pnegmi:9736. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)
If references are entirely missing, you can add them using this form.